A low dimensional Kalman filter for systems with lagged states in the measurement equation

This note describes how the Kalman filter and the Kalman smoother can be modified to allow for the vector of observables to be a function of lagged state variables without increasing the dimension of the state vector in the filter.

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Year of publication:	2015
Authors:	Nimark, Kristoffer P.
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 127.2015, C, p. 10-13
Publisher:	Elsevier
Subject:	Kalman filter \| Lagged observables \| Kalman smoother \| Simulation smoother

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Type of publication:	Article
Classification:	C1 - Econometric and Statistical Methods: General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011189495